Asymmetry of cross correlations between intra-day and overnight volatilities

The fine structure of volatility feedback II: overnight and intra-day effects

We decompose, within an ARCH framework, the daily volatility of stocks into overnight and intra-day contributions. We find, as perhaps expected, that the overnight and intra-day returns behave completely differently. For example, while past intra-day returns affect equally the future intra-day and overnight volatilities, past overnight returns have a weak effect on future intra-day volatilities (except for the very next one) but impact substantially future overnight volatilities. The exogenous component of overnight volatilities is found to be close to zero, which means that the lion's share o…

Statistical analysis of the overnight and daytime return

We investigate the two components of the total daily return (close-to-close), the overnight return (close-to-open) and the daytime return (open-to-close), as well as the corresponding volatilities of the 2215 NYSE stocks from 1988 to 2007. The tail distribution of the volatility, the long-term memory in the sequence, and the cross-correlation between different returns are analyzed. Our results suggest that: (i) The two component returns and volatilities have similar features as that of the total return and volatility. The tail distribution follows a power law for all volatilities, and long-ter…

Overnight GARCH-Itô Volatility Models

Various parametric volatility models for financial data have been developed to incorporate high-frequency realized volatilities and better capture market dynamics. However, because high-frequency trading data are not available during the close-to-open period, the volatility models often ignore volatility information over the close-to-open period and thus may suffer from loss of important information relevant to market dynamics. In this paper, to account for whole-day market dynamics, we propose an overnight volatility model based on Itô diffusions to accommodate two different instantaneous vol…

Intra-Day Seasonality in Foreign Exchange Market Transactions

This paper examines the intra-day seasonality of transacted limit and market orders in the DEM/USD foreign exchange market. Empirical analysis of completed transactions data based on the Dealing 2000-2 electronic inter-dealer broking system indicates significant evidence of intraday seasonality in returns and return volatilities under usual market conditions. Moreover, analysis of realised tail outcomes supports seasonality for extraordinary market conditions across the trading day.

Hawkes波动率在tick结构下滤波高频价格过程观测中的应用

Application of Hawkes volatility in the observation of filtered high-frequency price process in tick structures

本研究推导了适用于tick级价格动态的未标记和标记Hawkes模型方差公式，将Hawkes波动率应用于0.1秒间隔滤波的中间价过程，验证了其在实时风险管理中的可靠性和日内预测能力。

一种经过验证的波动-成交量-缺口分类器用于MNQ日内数据的市场模式识别

A Validated Volatility-Volume-Gap Classifier for Regime Identification in MNQ Intraday Data

本文验证了波动-成交量-缺口分类器在MNQ日内数据中的市场模式识别能力，发现其阳性日存在日内行为特征，但所有交易策略在考虑成本和稳定性后均未通过验证。